Recently, there has been a fast-growing literature on the determinants of corporate bond
returns, in particular, the driving force of cross-sectional return variation. In this review, we …

In recent years, the need to create new financial tools to mobilize private capital and
generate suitable resources to face both social and environmental challenges led to the …

Our model shows that deterioration in debt market liquidity leads to an increase in not only
the liquidity premium of corporate bonds but also credit risk. The latter effect originates from …

We show that credit risk accounts for only a small fraction of yield spreads for investment-
grade bonds of all maturities, with the fraction lower for bonds of shorter maturities, and that …

This paper studies the interaction between default and liquidity for corporate bonds that are
traded in an over‐the‐counter secondary market with search frictions. Bargaining with …

Liquidity provision for corporate bonds has become significantly more expensive after the
2008 crisis. Using index exclusions as a natural experiment during which uninformed index …

Corporate bond spreads are affected by both credit risk and liquidity and it is difficult to
disentangle the two factors empirically. In this paper we separate out the credit risk …

Secondary market illiquidity is an important non-default factor affecting yield spreads. Yet, a
review of the literature suggests the findings are mixed, both regarding the relative size of …

Abstract In Mergers and Acquisitions (M&As) a significant proportion of targets' equity is
owned by financial institutions that simultaneously own targets' bonds (“dual holders”) …

We estimate the non-default component of corporate bond yield spreads and examine its
relationship with bond liquidity. We measure bond liquidity using intraday transactions data …